Assured Guaranty Ltd. · NYSE:AGO
Assured Guaranty — Debt Investor Presentation (December 2023)
65 slides from Assured Guaranty's debt investor presentation, Dec 31, 2023
Slide 1: Fixed Income Investor Presentation December 31, 2023
EMBRACE POSSIBILITIES, INVEST IN CERTAINTIES Fixed Income Investor Presentation December 31, 2023
Slide 2: Table of Contents
Table of Contents Page Forward-Looking Statements and Safe Harbor Disclosure 3 Conventions and Non-GAAP Financial Measures 4 Corporate Overview 5 Assured Guaranty Ltd. Consolidated Insured Portfolio Overview 30 AGM Consolidated1 Portfolio Review 42 Assured Guaranty Corp. Portfolio Review 49 Appendix
Slide 3: Forward-Looking Statements and Safe Harbor Disclosure
Forward-Looking Statements and Safe Harbor Disclosure • This presentation contains information that includes or is based upon forward looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Forward looking statements give the expectations or forecasts of future
Slide 4: Conventions and Non-GAAP Financial Measures
Conventions and Non-GAAP Financial Measures • Unless otherwise noted, the following conventions are used in this presentation: – "AGM Consolidated" means Assured Guaranty Municipal Corp. (AGM) and its consolidated entities (consisting primarily of Assured Guaranty UK Limited (AGUK), Assured Guaranty
Slide 5: Corporate Overview
ASSURED GUARANTY Corporate Overview
Slide 6: Corporate Overview
Corporate Overview • Assured Guaranty Ltd. (“AGL” and, together with its subsidiaries, “Assured Guaranty” or the “Company”) is the leading financial guaranty franchise – We are the only long-standing financial guaranty company to have written new business throughout the 2008 financial crisis and rec
Slide 7: Corporate Structure
Assured Guaranty Ltd. Corporate Structure Assured Guaranty Ltd. Hamilton, Bermuda Publicly Traded Holding Company (NYSE: AGO) A (stable outlook) / Baa1 (stable outlook) issuer credit ratings Assured Guaranty US Holdings (AGUS) U.S. Holding Company S&P: A (stable outlook) / Assured Guaranty Re Ltd (A
Slide 8: Investor and Issuer Benefits, and Insurance Operating Principles
Investor and Issuer Benefits, and Insurance Operating Principles • Our guaranty benefits investors and issuers because we provide credit selection, underwriting, surveillance and remediation, in addition to timely payment of scheduled principal and interest if an underlying transaction defaults – Bo
Slide 9: Strength of Financial Guaranty Business Model
Strength of Financial Guaranty Business Model • The Company insures scheduled payments of principal and interest when due – Insurance law requires that each policy must provide that there shall be no acceleration of the Company's obligations unless such acceleration is at our sole option • Issuers t
Slide 10: Three Discrete Insurance Companies with Separate Capital Bases
Three Discrete Insurance Companies with Separate Capital Bases Consolidated Statutory-Basis Claims-Paying Resources and Exposures As of December 31, 2023 ($ in millions) AGM AGC AG Re6 Eliminations2 Consolidated Claims-paying resources Policyholders' surplus $ 2,646 $ 1,651 $ 734 $ (224) $ 4,807 Con
Slide 11: Principal Insurance Platforms
Assured Guaranty Principal Insurance Platforms • AGM, AGC, AGUK and AGE operate as four separate direct financial guaranty platforms, with AG Re operating as a reinsurer – AGM focuses on public finance and infrastructure transactions – AGC focuses on global structured finance transactions, and may a
Slide 12: Principal Insurance Platforms (Cont.)
Assured Guaranty Principal Insurance Platforms (Cont.) • Companies distinct for legal and regulatory purposes – Separate capital bases with claims-paying resources1 as of December 31, 2023: ▪ AGM $6.4 billion (includes AGUK and AGE) ▪ AGC $2.9 billion ▪ AG Re $1.7 billion (includes AGRO) – Separate
Slide 13: AGM Consolidated Net Par Outstanding
AGM Consolidated1 Net Par Outstanding • AGM focuses on insuring public finance and infrastructure transactions. AGM’s subsidiaries, AGUK and AGE, additionally focus on insuring structured finance transactions. Net Par Outstanding As of December 31, 2023 ($ in billions) U.S. Public Finance $127.5 AGU
Slide 14: AGM, AGUK and AGE Net Par Outstanding
AGM, AGUK and AGE Net Par Outstanding U.S. Other Public U.S. Muni Finance • AGM is a U.S. financial guaranty insurance $33.4 Utilities Non-U.S. company that focuses on public finance and $20.7 AGM Net Par Public Finance $27.8 infrastructure transactions Outstanding U.S. Tax U.S. – AGM’s legacy globa
Slide 15: AGC Net Par Outstanding
AGC Net Par Outstanding Net Par Outstanding • AGC focuses on global structured finance As of December 31, 2023 ($ in billions) transactions, and may also insure public finance and infrastructure transactions • Recent structured finance new business Non-U.S. U.S. Structured Public originations: Finan
Slide 16: AG Re and AGRO
AG Re and AGRO Consolidated AG Re AGRO Net Par Outstanding1 Outstanding Net Exposure2 As of December 31, 2023 ($ in billions) As of December 31, 2023 ($ in billions) Financial Guaranty U.S. Non-U.S. Public Finance Structured RVI Aircraft $0.2 Structured Finance Insurance Finance $3.8 7% $0.1 $0.2 6%
Slide 17: Underwriting Discipline
Underwriting Discipline Consolidated Net Par Outstanding • Our U.S. public finance portfolio, our As of December 31, 2023 largest exposure category, generally ($ in billions) performed well during the 2008 recession Non-U.S. and in subsequent years, including during Structured the COVID-19 pandemic,
Slide 18: Creating Value: Insurance Penetration in the U.S. Public Finance Market
Creating Value Insurance Penetration in the U.S. Public Finance Market • Assured Guaranty’s U.S. public finance new business production had a very successful 2023 – U.S. public finance insured $22.5 billion of total par that closed in 2023, the second largest annual amount of par insured in a decade
Slide 19: Broadening Market Awareness
Broadening Market Awareness Current Advertising Campaigns 19 ASSURED GUARANTY MUNICIPAL | ASSURED GUARANTY CORP.
Slide 20: Competitive Landscape
Competitive Landscape Select AGM Transactions in 2023 Source: Refinitiv SDC Database. Amounts are on a sale-date basis and reflect only those series insured by Assured Guaranty Municipal Corp. (New York, NY). 20 ASSURED GUARANTY MUNICIPAL | ASSURED GUARANTY CORP.
Slide 21: Creating Value: Non-U.S. Public Finance Business Activity
Creating Value Insurance Non-U.S. Public Finance Business Activity Non-U.S. Public Finance PVP1 • In fourth quarter 2023, business activity was (FY; $ in millions) attributable to guarantees of transactions in the airport, university housing, regulated utility and $308 transportation sectors • In th
Slide 22: Creating Value: Global Structured Finance Business Activity
Creating Value Insurance Global Structured Finance Business Activity • In the fourth quarter of 2023, new business Global Structured Finance PVP1 PVP primarily consisted of insurance (FY; $ in millions) securitization transactions $109 • In the third quarter of 2023, new business PVP primarily consi
Slide 23: Underwriting Principles and Pricing Discipline
Creating Value Insurance Underwriting Principles and Pricing Discipline • Assured Guaranty insured $29.0 billion of aggregate par in 2023 – This is 31% more insured par than in 2022 – It is also the largest amount of aggregate par insured in a decade • Assured Guaranty closed $404 million of aggrega
Slide 24: Puerto Rico Update
Creating Value Puerto Rico Update • The Company has divested portions of its Plan Consideration it received in connection with the resolution of General Obligation (GO) and Public Buildings Authority (PBA), Puerto Rico Convention Center District Authority (PRCCDA), Puerto Rico Infrastructure Financi
Slide 25: Asset Management
Creating Value Asset Management • In July 2023, Assured Guaranty contributed most of AssuredIM to Sound Point in exchange for approximately 30% of the combined Sound Point entity – AGM and AGC engaged Sound Point as their sole alternative credit manager ▪ In the first two years of Sound Point's enga
Slide 26: Financial Strength Ratings
Financial Strength Ratings U.S. Insurance Companies Financial Strength Ratings1 S&P KBRA Moody's AA AA+ A1 AGM Stable Outlook Stable Outlook Stable Outlook (July 2023) (October 2023) (March 2022) AA AA+ AGC Stable Outlook Stable Outlook (2) (July 2023) (October 2023) Recent Rating Activity • In July
Slide 27: Net Par Outstanding Amortization
Net Par Outstanding Amortization • Over the last six years, the net par outstanding of the insured portfolio has stabilized significantly – This stabilization was primarily driven by new business production in U.S. public finance and non-U.S. public finance – This will help stabilize our future earn
Slide 28: Assured Guaranty Today: Capital Changes and Insured Portfolio
Assured Guaranty Today Capital Changes and Insured Portfolio Since the Global Financial Crisis Claims-Paying Resources Insured Leverage ($ in billions) 71.3x 70.5x $13.2 $12.8 $13.2 $12.8 $12.6 $12.6 $12.7 $12.1 $12.1 $11.9 62.9x $11.4 $11.1 $11.2 $10.8 $10.7 58.9x 52.7x 47.4x 46.7x 46.2x 41.2x 47%
Slide 29: High-Quality Investment Portfolio
Underlying Value High-Quality Investment Portfolio Total Invested Assets and Cash1,2 As of December 31, 2023 U.S. government & AAA 3 • Predominately consists of highly rated, agencies 28% 1% fixed maturity and short-term investments, Other invested and cash; 54% rated AA or higher assets 4% • Approx
Slide 30: Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Assured Guaranty Ltd. Consolidated Insured Portfolio Overview
Slide 31: AGL Consolidated Insured Portfolio
AGL Consolidated Insured Portfolio Net Par Outstanding as of December 31, 2023 Portfolio Diversification by Sector Non-U.S. Structured Finance <1% U.S. Public Finance U.S. 76% Structured Finance 3% Non-U.S. Public Finance 20% $249.2 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. P
Slide 32: AGL Consolidated Insured Portfolio Ratings
AGL Consolidated Insured Portfolio Ratings Net Par Outstanding as of December 31, 2023 Portfolio Diversification by Rating BIG AAA 2% 1% AA 10% BBB 39% A 47% $249.2 billion1,2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AA
Slide 33: Puerto Rico Exposure
Public Finance Puerto Rico Exposure Exposure to Puerto Rico1 As of December 31, 2023 ($ in millions) Net Par Outstanding Total Net Par Gross Par AGM AGC AG Re Eliminations2 Outstanding Outstanding Defaulted Puerto Rico Exposures Puerto Rico Electric Power Authority (PREPA) $377 $67 $180 $— $624 $633
Slide 34: Scheduled Net Par Amortization of Exposure to Puerto Rico
Public Finance Puerto Rico Exposure Scheduled Net Par Amortization of Exposure to Puerto Rico As of December 31, 2023 2024 2024 2024 2024 2034 - 2039 - ($ in millions) (Q1) (Q2) (Q3) (Q4) 2025 2026 2027 2028 2029 2030 2031 2032 2033 2038 2041 Total Defaulted Puerto Rico Exposures PREPA $ — $ — $ 93
Slide 35: Scheduled Net Debt Service Amortization of Exposure to Puerto Rico
Public Finance Puerto Rico Exposure Scheduled Net Debt Service Amortization of Exposure to Puerto Rico As of December 31, 2023 2024 2024 2024 2024 2034 - 2039 - ($ in millions) (Q1) (Q2) (Q3) (Q4) 2025 2026 2027 2028 2029 2030 2031 2032 2033 2038 2041 Total Defaulted Puerto Rico Exposures PREPA $ 12
Slide 36: Non-U.S. Public Finance Exposure
Non-U.S. Public Finance Exposure Net Par Outstanding By Type As of December 31, 2023 ($ in billions) Infrastructure • Non-U.S. public finance net par outstanding is finance $49 billion and makes up 20% of our total $15.4 Sovereign and insured portfolio as of December 31, 2023 sub-sovereign 31% $9.9
Slide 37: Global Structured Finance Exposures
Global Structured Finance Exposures Net Par Outstanding By Type As of December 31, 2023 ($ in billions) U.S. RMBS $1.8 • Assured Guaranty’s total structured Insurance finance exposure of $9.9 billion, as of Securitizations 18% Global Pooled 21% Corporate December 31, 2023, reflects a $164.7 $4.4 $1.
Slide 38: Consolidated Insurance Expected Loss and LAE to Be Paid (Quarter)
Consolidated Insurance Expected Loss and LAE to Be Paid Three Months Ended December 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2023 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be
Slide 39: Consolidated Insurance Expected Loss and LAE to Be Paid (Year)
Consolidated Insurance Expected Loss and LAE to Be Paid Year Ended December 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2023 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered
Slide 40: Below Investment Grade Exposures
Below Investment Grade Exposures Net Par Outstanding by BIG Category1 Financial Guaranty Insurance and Credit Derivatives Surveillance Categories • As of December 31, 2023, approximately ($ millions) December 31, 2023 December 31, 2022 $2.4 billion (44%) of the aggregate BIG BIG Category 1 exposure
Slide 41: BIG Financial Guaranty Exposure Decline
BIG Financial Guaranty Exposure Decline • Since the fourth quarter of 2011, BIG net par outstanding has declined by $21.4 billion • The largest components of our BIG exposure are Puerto Rico at 20%, Healthcare at 20% and U.S. RMBS at 17% BIG Net Par Outstanding Changes in BIG Net Par Outstanding ($
Slide 42: AGM Consolidated Portfolio Review
AGM Consolidated1 Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret 1. Please see page 4 for a definition of this convention.
Slide 43: AGM Consolidated Insured Portfolio
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of December 31, 2023 Portfolio Diversification by Sector Non-U.S. Structured Finance <1% U.S. U.S. Public Structured Finance Finance 78% 1% Non-U.S. Public Finance 21% $162.8 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Pu
Slide 44: AGM Consolidated Insured Portfolio Ratings
AGM Consolidated1 Insured Portfolio Ratings Net Par Outstanding as of December 31, 2023 Portfolio Diversification by Rating BIG AAA 2% 1% AA 9% BBB 40% A 49% $162.8 billion2 U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA BIG AAA
Slide 45: AGM Consolidated Net Par Outstanding By Asset Type
AGM Consolidated1 Insured Portfolio Net Par Outstanding as of December 31, 2023 Net Par Outstanding By Asset Type ($ in millions) Net Par Net Par Outstanding Outstanding U.S. public finance: U.S. structured finance: General obligation $ 51,078 RMBS 1,144 2 Tax backed 22,278 Financial products 464 Mu
Slide 46: AGM Consolidated Investment Portfolio
AGM Consolidated1 Investment Portfolio Fair Value as of December 31, 2023 Invested Assets and Cash2,3 As of December 31, 2023 U.S. government & agencies 1% Other invested AAA 4 • Predominately consists of highly rated, fixed assets 34% maturity and short-term investments, and cash; <1% 56% rated AA
Slide 47: AGM Consolidated Expected Loss and LAE to Be Paid (Quarter)
AGM Consolidated Expected Loss and LAE to Be Paid Three Months Ended December 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2023 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid
Slide 48: AGM Consolidated Expected Loss and LAE to Be Paid (Year)
AGM Consolidated Expected Loss and LAE to Be Paid Year Ended December 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2023 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered) as o
Slide 49: Assured Guaranty Corp. Portfolio Review
Assured Guaranty Corp. Portfolio Review Eiffage CEVM / Foster + Partners / Jean-Pierre Lescourret
Slide 50: AGC Insured Portfolio
AGC Insured Portfolio Net Par Outstanding as of December 31, 2023 Portfolio Diversification by Sector Non-U.S. Structured Finance 3% U.S. Public Finance 68% U.S. Structured Finance 12% Non-U.S. Public Finance 17% $28.9 billion U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Por
Slide 51: AGC Insured Portfolio Ratings
AGC Insured Portfolio Ratings Net Par Outstanding as of December 31, 2023 Portfolio Diversification by Rating BIG AAA 3% 5% AA 18% BBB 36% A 39% $28.9 billion U.S. & Non-U.S. U.S. Public Finance Portfolio Non-U.S. Public Finance Portfolio Structured Finance Portfolios BIG AAA AA BIG AAA BIG AAA 2% <
Slide 52: AGC Net Par Outstanding By Asset Type
AGC Insured Portfolio Net Par Outstanding as of December 31, 2023 Net Par Outstanding By Asset Type ($ in millions) Net Par Net Par Outstanding Outstanding U.S. public finance: U.S. structured finance: General obligation $ 5,493.8 Insurance securitizations 1,271.3 Transportation 3,391.2 Pooled corpo
Slide 53: AGC Investment Portfolio
AGC Investment Portfolio Fair Value as of December 31, 2023 Invested Assets and Cash1,2 As of December 31, 2023 AAA 3 AA • Predominately consists of highly rated, fixed U.S. government & 9% agencies 30% maturity and short-term investments, and cash; <1% 39% rated AA or higher Other invested assets <
Slide 54: AGC Expected Loss and LAE to Be Paid (Quarter)
AGC Expected Loss and LAE to Be Paid Three Months Ended December 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Three Months Ended December 31, 2023 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered) a
Slide 55: AGC Expected Loss and LAE to Be Paid (Year)
AGC Expected Loss and LAE to Be Paid Year Ended December 31, 2023 ($ in millions) Rollforward of Net Expected Loss and LAE to be Paid1 for the Year Ended December 31, 2023 Net Expected Loss Net Economic Loss Net Expected Loss to be Paid Development Net (Paid) to be Paid (Recovered) as of (Benefit) D
Slide 56: Appendix
Appendix
Slide 57: Explanation of Non-GAAP Financial Measures
Appendix Explanation of Non-GAAP Financial Measures The Company discloses both: (i) financial measures determined in accordance with GAAP; and (ii) financial measures not determined in accordance with GAAP (non-GAAP financial measures). Financial measures identified as non-GAAP should not be conside
Slide 58: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) The following paragraphs define each non-GAAP financial measure disclosed by the Company and describe why it is useful. To the extent there is a directly comparable GAAP financial measure, a reconciliation of the non-GAAP financial measure
Slide 59: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) Adjusted Operating Shareholders’ Equity and Adjusted Book Value: Management believes that adjusted operating shareholders’ equity is a useful measure because it excludes the fair value adjustments on investments, credit derivatives and CCS
Slide 60: Explanation of Non-GAAP Financial Measures (Cont'd)
Appendix Explanation of Non-GAAP Financial Measures (Cont’d) Adjusted Operating Return on Equity (Adjusted Operating ROE): Adjusted Operating ROE represents adjusted operating income for a specified period divided by the average of adjusted operating shareholders’ equity at the beginning and the end
Slide 61: Reconciliation of Gross Written Premiums (GWP) to PVP
Appendix AGL Consolidated Reconciliation of Gross Written Premiums (GWP) to PVP Three Months Ended Reconciliation of GWP to PVP December 31, Year Ended December 31, (dollars in millions) 2023 2022 2022 2021 2020 2019 2018 2017 2016 Total GWP $136 $131 $360 $377 $454 $677 $612 $307 $154 1 Less: Insta
Slide 62: Reconciliation of Net Income Attributable to AGL to Adjusted Operating Income
Appendix Reconciliation of Net Income (Loss) Attributable to AGL to Adjusted Operating Income1 Three Months Ended Year Ended Adjusted Operating Income Reconciliation December 31, December 31, (dollars in millions, except per share amounts) 2023 2022 2023 2022 Per Per Per Per Diluted Diluted Diluted
Slide 63: Reconciliation of AGL Shareholders' Equity to Adjusted Book Value
Appendix Reconciliation of AGL Shareholders’ Equity to Adjusted Book Value1 Adjusted book value1 reconciliation As of (dollars in millions, except per share amounts) Dec 31, 2023 Sept 30, 2023 Dec 31, 2022 Sept 30, 2022 Dec 31, 2021 Per Per Per Per Total Share Total Share Total Per Share Total Share
Slide 64: Reconciliation of AGL GAAP ROE to Adjusted Operating ROE
Appendix Reconciliation of AGL GAAP ROE1 to Adjusted Operating ROE1,2 ROE Reconciliation (dollars in millions) Three Months Ended Year Ended December 31, December 31, 2023 2022 2023 2022 Net income (loss) attributable to AGL $376 $94 $739 $124 2 Adjusted operating income 338 14 648 267 Average share
Slide 65: Assured Guaranty Contacts
Assured Guaranty Contacts: Robert Tucker Senior Managing Director Investor Relations and Corporate Communications Direct: 212.339.0861 rtucker@agltd.com Michael Walker Managing Director Fixed Income Investor Relations Direct: 212.261.5575 mwalker@agltd.com Andre Thomas Managing Director Investor Rel
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